of cointegration
On determination of cointegration ranks
... of cointegration dates back to Granger (1981), Granger and Weiss (1983), Engle and Granger ...The cointegration research has made enormous progress since the seminal Granger representation theorem was ...
25
Does a small cost share reflect a negligible role for energy in economic production? Testing for aggregate production functions including capital, labor, and useful exergy through a cointegration based method
... Multiplicative coefficients obtained through cointegration analysis are unconstrained, i.e. they can assume positive or negative values. However, after normalizing to output , these coefficients will correspond to ...
61
Stock market and macroeconomic variables: new evidence from India
... for cointegration between these ...their cointegration analyses, most of these studies failed to test the stability of the parameters over time or the asymmet- ric long-run relationships among these ...of ...
17
Regime-switching cointegration
... of cointegration with structural breaks could not handle such a case where the cointegrating space switches between cointegrating ranks as well as switching between restricted and unrestricted cointegrating ...
22
Regime-Switching Cointegration
... for cointegration indicate cointegration is not present and, thus, the Fisher effect appears not to ...that cointegration is present, but with a structural break at an unknown point in ...finds ...
23
Does Existence of Long Run Relationship Ensure Predictability of Exchange Rate? Empirical Analysis of Indian Rupee Vis à Vis US Dollar under Monetary Model Framework
... The cointegration analysis was carried out using the Johansen Juselius test of cointegration and the variables were found to be linearly cointegrated establishing the long-run relationsh[r] ...
9
Macroeconomic convergence in the West African monetary zone: Evidence from rank tests
... Because of the misleading conclusions that linear methods can have on financial data analysis, we employ a non-linear Breitung (2001) rank and score test of cointegration. The Breitung (2001) test is a ...
8
The sheer scale of China’s urban renewal and CO2 emissions: Multiple structural breaks, long run relationship and short run dynamics
... After confirming the series are stationary and integrated at I(1), the model is ready for cointegration analysis. In doing so, we choose auto-regressive distributed lag (ARDL) bound test approach to ...
32
Asian Financial Integration during the Pre and Post crisis Periods
... and cointegration in a set of eight ASEAN+3 currencies in pre-crisis, crisis and post-crisis ...of cointegration analysis showed that the currencies are not cointegrated during the pre-crisis ...of ...
17
The spot forward relationship in the Atlantic salmon market
... the cointegration method ...from cointegration relationship, providing strong support for the endogeneity of the forward ...of cointegration of salmon future forward with longer ...
11
Relationship between exports, imports, and economic growth in France (1990 2018)
... examine cointegration test and results of cointegration test are presented in below tables (Tables 4 and ...different cointegration tests including Johansen system cointegration test as well ...
13
Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return
... West (1988) also supported the quantitative and sta- tistically significant rejection of RVF by analyzing the re- lationship between price and dividend variances. Chow (1989) rejected REH, concluding that RVF data are ...
10
The bilateral trade balance of the EU in the presence of structural breaks
... that cointegration relations between variables exist in both export and import demand function in all countries when structural breaks are not taken into account (Table ...of cointegration tests that allow ...
23
Should Portuguese Economy Invest in Defense Spending? A Revisit
... Because of the same integrating order of the variables, the ARDL bounds testing approach to cointegration must be applied to test whether cointegration exists or not among the series suc[r] ...
30
Financial Liberalization And Demand For Money: A Case of Pakistan
... The JJ cointegration and Fully Modified Ordinary Least Squares (FMOLS) methods have been used by Hye et al. (2009) to estimate the relationship between demand for money and economic activity, interest rate, ...
25
Whether Change in Government in India has Any Role in the Co-integration of Developed Economies and Indian Stock Market?
... "No cointegration among India, US, Germany, France and Japan" is ...Juselius cointegration test - term wise clearly indicate that There is cointegration among India, US, Germany, France and ...
9
Is Gold Investment a Safe Haven or a Hedge for the Malaysian Inflation?
... This study examines whether gold can be used as a hedging tool against inflation in Malaysia by using time series analysis. The empirical findings show that the gold’s hedging ability in long term is proven through the ...
16
Effect of financial development on agricultural growth in Pakistan: new extensions from bounds test to level relationships and granger causality tests
... Once integrating order of the variables is confirmed, next step is to choose appropriate lag order of the variable to apply ARDL bounds testing approach to cointegration. It is necessary to find out lag order ...
31
Structural Breaks and Fiscal Deficit Sustainability in EAC Countries: Empirical Evidence
... conventional cointegration tests mostly used in empirical literature, Engle & Granger test, Johansen (1990) and Enders and Siklos (2001) do not take into account the possibility of structural breaks in the ...
9
Is hike in inflation responsible for rise in terrorism in Pakistan?
... run cointegration between inflation, terrorism and economic growth, it is necessary to find out integrating order of the ...ARDL cointegration approach can be applicable if variables are integrated at I(0) ...
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